The success of deep learning has been witnessed as a promising technique for computer-aided biomedical image analysis, due to end-to-end learning framework and availability of large-scale labelled samples. However, in many cases of biomedical image analysis, deep learning techniques suffer from the small sample learning (SSL) dilemma caused mainly by lack of annotations. To be more practical for biomedical image analysis, in this paper we survey the key SSL techniques that help relieve the suffering of deep learning by combining with the development of related techniques in computer vision applications. In order to accelerate the clinical usage of biomedical image analysis based on deep learning techniques, we intentionally expand this survey to include the explanation methods for deep models that are important to clinical decision making. We survey the key SSL techniques by dividing them into five categories: (1) explanation techniques, (2) weakly supervised learning techniques, (3) transfer learning techniques, (4) active learning techniques, and (5) miscellaneous techniques involving data augmentation, domain knowledge, traditional shallow methods and attention mechanism. These key techniques are expected to effectively support the application of deep learning in clinical biomedical image analysis, and furtherly improve the analysis performance, especially when large-scale annotated samples are not available. We bulid demos at https://github.com/PengyiZhang/MIADeepSSL.